I represent the company (Amplify Studios) that originally posted this issue. We believe the submenu indicator should display regardless of whether or not it is the currently selected path. Without it, there is no way to know which menu items have submenu items.
The site we were working on that could use this is http://claremontsavings.com. Here is the markup for the CMSListMenu we're using:
<cms:CMSListMenu ID="testMenu" runat="server" Path="/%" ClassNames="custom.sidebarfolder;CMS.MenuItem" DisplayOnlySelectedPath="true" SubmenuIndicator="~/App_Styles/images/menu_plus.gif" />
As you can see if you look at the menu, the indicator should ideally should before you click the menu to expand it; then there should be an "expanded" version so the indicator shows the parent has been opened.
Hope this helps.